Stoyan V. Stoyanov
Stoyan V. Stoyanov
Stony Brook University, College of Business
Verified email at stonybrook.edu
TitleCited byYear
Different approaches to risk estimation in portfolio theory
A Biglova, S Ortobelli, ST Rachev, S Stoyanov
The Journal of Portfolio Management 31 (1), 103-112, 2004
2442004
Advanced stochastic models, risk assessment, and portfolio optimization: The ideal risk, uncertainty, and performance measures
ST Rachev, SV Stoyanov, FJ Fabozzi
John Wiley & Sons, 2008
203*2008
Desirable properties of an ideal risk measure in portfolio theory
S Rachev, S Ortobelli, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 11 (01), 19-54, 2008
1172008
Momentum strategies based on reward–risk stock selection criteria
S Rachev, T Jašić, S Stoyanov, FJ Fabozzi
Journal of Banking & Finance 31 (8), 2325-2346, 2007
1092007
Optimal financial portfolios
SV Stoyanov, ST Rachev, FJ Fabozzi
Applied Mathematical Finance 14 (5), 401-436, 2007
1072007
The methods of distances in the theory of probability and statistics
ST Rachev, L Klebanov, SV Stoyanov, F Fabozzi
Springer, 2013
942013
The proper use of risk measures in portfolio theory
S Ortobelli, ST Rachev, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 8 (08), 1107-1133, 2005
862005
A Probability Metrics Approach to Financial Risk Measures
ST Rachev, SV Stoyanov, FJ Fabozzi
John Wiley & Sons, 2011
762011
Distortion risk measures in portfolio optimization
EN Sereda, EM Bronshtein, ST Rachev, FJ Fabozzi, W Sun, SV Stoyanov
Handbook of Portfolio Construction, 649-673, 2010
582010
Computing the portfolio Conditional Value-at-Risk in the alpha-stable case
S Stoyanov, G Samorodnitsky, S Rachev, S Ortobelli Lozza
Probability and Mathematical Statistics 26 (1), 1-22, 2006
562006
Multivariate skewed Student's t copula in the analysis of nonlinear and asymmetric dependence in the German equity market
W Sun, S Rachev, SV Stoyanov, FJ Fabozzi
Studies in Nonlinear Dynamics & Econometrics 12 (2), 42-76, 2008
512008
Stable ETL optimal portfolios and extreme risk management
ST Rachev, RD Martin, B Racheva, S Stoyanov
Risk Assessment, 235-262, 2009
472009
An empirical examination of daily stock return distributions for US stocks
S Rachev, S Stoyanov, A Biglova, F Fabozzi
Data Analysis and Decision Support, 269-281, 2005
432005
Fat-tailed models for risk estimation
SV Stoyanov, ST Rachev, B Racheva-Yotova, FJ Fabozzi
The Journal of Portfolio Management 37 (2), 107-117, 2011
422011
Stochastic models for risk estimation in volatile markets: A survey
SV Stoyanov, B Racheva-Iotova, ST Rachev, FJ Fabozzi
Annals of Operations Research 176 (1), 293-309, 2010
352010
Capturing fat tails
ST Rachev, B Racheva-Iotova, S Stoyanov
Risk 23 (5), 2010
332010
Computing VaR and AVaR of skewed-t distribution
S Dokov, SV Stoyanov, S Rachev
Journal of Applied Functional Analysis 3, 189-209, 2008
332008
System and method for providing optimization of a financial portfolio using a parametric leptokurtic distribution
ST Rachev, BS Racheva-Iotova, SV Stoyanov, RD Martin
US Patent 7,711,617, 2010
322010
Univariate stable laws in the field of finance—parameter estimation
S Stoyanov, B Racheva-Iotova
Journal of Concrete and Applicable Mathematics 2 (4), 24-49, 2004
322004
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
SV Stoyanov, ST Rachev, FJ Fabozzi
Annals of Operations Research 205 (1), 169-187, 2013
302013
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